Replication data for: Prior Selection for Vector Autoregressions

Giannone, Domenico, Lenza, Michele, and Primiceri, Giorgio E., (2015) "Prior Selection for Vector Autoregressions." Review of Economics and Statistics 97:2, 436-451.

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Prior Selection for Vector Autoregressions

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable

NBER2012-10-01 更新60

Enforcing Stationarity through the Prior in Vector Autoregressions

Stationarity is a very common assumption in time series analysis. A vector autoregressive process is stable if and only if the roots of its characteristic equation lie outside the unit circle, constra

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